why doesnt NT understand forex quantities and P/L

[NinjaTrader_Brett]

Curious why does the look off to you? You are using a full standard sized lot which I expect somewhere around 10 dollars per tick. Thats 40 dollars PnL just on its own.

However that's $40 dollars not in USD. All currency will be converted to USD, from your screenshot the conversion rate favors the USD 1.60 per every dollar. This is multipled by your $40 dollar base PnL.

40 * 1.6 exchange rate = 64.


Which is what is displayed, let me know if you have any questions.

[jimi euro]

Earlier I was able to get 1 pip = $10 in EURGBP.

[NinjaTrader_Brett]

Hello,

I can only let you know what occurred with the examples you gave me. In the example you gave me the output is correct.

If you get it 10 per tick then that tells me no conversion occurred most likely and rate would be 1.

-Brett

[jimi euro]

Hello,

I can only let you know what occurred with the examples you gave me. In the example you gave me the output is correct.

If you get it 10 per tick then that tells me no conversion occurred most likely and rate would be 1.

-Brett

I see. I apologize for my earlier statement, I see I had it backwards. It looks like it will always work if a USD pair is loaded, and has nothing to do with data being corrupt. Thanks allot for your help and getting this straight with me!

[GPEngine]

This is a barrier to using Ninjatrader for my project.

[zheka]

Correct Point Value setting for FX instruments

Hi, NT,

I have gone through the thread and adding to it my personal experience, still would like to get clarity on the following (all below concerns BACKTESTING):

1/ How does one set the correct "Point value" for forex instruments (not futures contracts) and why?

Logically, in FX, the value of one full point should be = 1. Then, the Quantity traded can be set in units of currency (e.g. 10 000). Alternatively, the Point value can be set to 10 000, but then the Q-ty traded in the strategy can be 1 (as if it were a "contract").

However, neither of the above methods leads to correct PnL. What works is a setting of 1 000 000 (???) for Point value (For GBPUSD, EURUSD) and a Quantity of 10 000..

Please explain.

2/ What's the impact of specifying in the Data tabs of "Quote currencies (FX) in Tenthpip"? What should the correct setting for Tick size and this field be, for OTC FX (5 digits after the point) ??

3/ Is it possible to base PnL calculations for currency crosses on USD (so that field RATE in Performance report does NOT show 1) - in BackTesting? And if yes - how?

It would be strange to only have this feature work in Live trading...How does one backtest correctly before trading a portfolio live?

Thanks a lot for your support.

Evgeni


2/ commission in FX is usually set on a

[NinjaTrader_Matthew]

Hi, NT,

I have gone through the thread and adding to it my personal experience, still would like to get clarity on the following (all below concerns BACKTESTING):

1/ How does one set the correct "Point value" for forex instruments (not futures contracts) and why?

Logically, in FX, the value of one full point should be = 1. Then, the Quantity traded can be set in units of currency (e.g. 10 000). Alternatively, the Point value can be set to 10 000, but then the Q-ty traded in the strategy can be 1 (as if it were a "contract").

However, neither of the above methods leads to correct PnL. What works is a setting of 1 000 000 (???) for Point value (For GBPUSD, EURUSD) and a Quantity of 10 000..

Please explain.

Hmm... you shouldn't have to change the point value. The point value for the forex pairs is 1,000,000, and the tick size would be 0.0001 (when using whole pips). 1,000,000x.0001 = 10. This will give you $10, per tick for a regular lot.

From there, the PnL will depend on the lot size you use. For a regular lot, you would use a qty of 100,000. For a mini lot, 10,000.

2/ What's the impact of specifying in the Data tabs of "Quote currencies (FX) in Tenthpip"? What should the correct setting for Tick size and this field be, for OTC FX (5 digits after the point) ??

This changes the tick size. Pip = 0.0001, HalfPip = 0.00005, Tenthpip = 0.00001.

5 digits after the point would either be half pip or tenth pip.

3/ Is it possible to base PnL calculations for currency crosses on USD (so that field RATE in Performance report does NOT show 1) - in BackTesting? And if yes - how?

It would be strange to only have this feature work in Live trading...How does one backtest correctly before trading a portfolio live?

This will only occur on a real-time trade and it requires you have the corresponding USD pair data streaming for the conversation to take place.

If you're backtesting in the strategy analyzer, this will not occur. In your case, I'd suggest using Market Replay for backtesting and ensure that you have all the data required to make the conversation streaming at this time.

If you have not, I'd also suggest reviewing the following help guide article on backtesting forex instruments:

http://www.ninjatrader.com/support/helpGuides/nt7/running_fx_strategies.htm

[zheka]

Hi, Matthew,

1/ 1 000 000 * 0.0001 = 100, not 10!

100 000 * 0.0001 = 10 - which makes sense (and assumes a standard lot size of 100 000), but does not work!

or 1 000 000 *0.00001 = 10 - which works.

Anyway, what is NT's PnL calculation for a 0.0001 price change? 100 000* 0.0001* 10 000qty=?

2/ Sorry, what you say is obvious but still not clear.

What's the correct/better way to set parameters: 0.0001 tick size and "Quote in Tenthofapip', and just directly specify 0.00001 for tick size and "Quote in Pips"?

Is there any difference? What will this impact?

3/ Clear.

Thanks.
Evgeni

[NinjaTrader_Matthew]

Sorry, the point value is 100,000...


What exactly is not working? I understand you feel the PnL is not correctly, but you shouldn't need to make any changes in this regard so I'm confused as to why there is so much dialog about this. Please give me a specific example of what is not working and we can help you get the correct settings back in place.

Such as, what instrument, price you entered, price you exited and the displayed PnL.

Thanks.